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Day-of-the-week effect in the Taiwan foreign exchange market |
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| Authors: | Mei-Chu Ke Yi-Chein Chiang Tung Liang Liao |
| Institution: | 1. Department of Industrial Engineering and Management, National Chin-Yi University of Technology, 35, Lane 215, Section 1, Chung-Shan Road Taiping City, Taichung County 411, Taiwan;2. Department of International Trade, Feng Chia University, Taichung, Taiwan;3. Department of Finance, Feng Chia University, Taichung, Taiwan |
| Abstract: | This study uses stochastic dominance with and without risk-free assets to examine whether trading days can affect patterns of the day-of-the-week effect in the Taiwan foreign exchange market. Our results generally indicate that higher returns appear on the first three days of the week across different trading-day regimes in the Taiwan foreign exchange market, confirming day-of-the-week effect. Allocating part of investors’ assets in risk-free assets is useful in distinguishing returns among weekdays for all currencies. |
| Keywords: | F31 G14 G15 |
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